NEW YORK--(BUSINESS WIRE)--Fitch Ratings has downgraded the senior, subordinate and junior subordinate notes issued from SLM Private Credit Student Loan Trust 2004-A and 2004-B. At the same time, Fitch has affirmed the senior, subordinate and junior subordinate notes issued from SLM Private Credit Student Loan Trust 2005-A. The Rating Outlook for all ratings is Negative. Fitch used its 'Global SF Criteria' and 'U.S. Private SL ABS Criteria' to review the transaction. A detailed list of ratings actions follows at the end of this press release.
The downgrades on the ratings issued from SLM Private Credit Student Loan Trust 2004-A and 2004-B reflect insufficient loss coverage multiples to support existing ratings. Fitch estimates the remaining defaults to range from approximately 11%-13% on the trusts. In addition, the stepdown date has occurred for each trust causing all classes of notes to receive principal payments, and as such, parity levels for each class have been increasing at a much slower pace than the increase in current and projected losses. Furthermore, current recoveries are lower than past recovery rates.
The affirmation on the notes issued from SLM Private Credit Student Loan Trust 2005-A reflects sufficient loss coverage multiples to support the existing ratings. Fitch estimates remaining defaults to range from 11%-13% for this trust; however, the 2005-A trust has displayed higher excess spread and lower swap payments than the 2004-A and 2004-B trusts, which have caused higher credit enhancement percentages.
The Negative Outlook is driven by an increase in projected default levels in excess of Fitch's initial expectations. In addition, the Outlooks reflect Fitch's negative view on the private student loan sector in general.
Fitch projected future losses and derived loss coverage multiples based on the latest performance data. The projected net loss amounts were compared to available credit enhancement to determine the loss multiples appropriate for each rating category. Credit enhancement consists of a combination of excess spread, overcollateralization, and subordination.
The collateral securing the notes are private student loans originated to undergraduate, graduate, law, Med and MBA students under the Signature and EXCEL programs. The private student loans are intended to assist individuals in financing their undergraduate or graduate education beyond FFELP limits.
Fitch will continue to monitor the performance of the trusts.
Fitch takes the following actions:
SLM Private Credit Student Loan Trust 2004-A:
--Class A-2 downgraded to 'AAsf' from 'AAAsf'; Outlook revised to Negative from Stable;
--Class A-3 downgraded to 'AAsf' from 'AAAsf'; Outlook revised to Negative from Stable;
--Class B downgraded to 'Asf' from 'AAsf'; Outlook revised to Negative from Stable;
--Class C downgraded to 'BB-sf' from 'BBB-sf'; Outlook Negative.
SLM Private Credit Student Loan Trust 2004-B:
--Class A-2 downgraded to 'AAsf' from 'AAAsf'; Outlook revised to Negative from Stable;
--Class A-3 downgraded to 'AAsf' from 'AAAsf'; Outlook revised to Negative from Stable;
--Class A-4 downgraded to 'AAsf' from 'AAAsf'; Outlook revised to Negative from Stable;
--Class B downgraded to 'Asf' from 'AA-sf'; Outlook revised to Negative from Stable;
--Class C downgraded to 'BBsf' from 'BBB+sf'; Outlook revised to Negative from Stable.
SLM Private Credit Student Loan Trust 2005-A:
--Class A-2 affirmed at 'AA-sf'; Outlook revised to Negative from Stable;
--Class A-3 affirmed at 'AA-sf'; Outlook revised to Negative from Stable;
--Class A-4 affirmed at 'AA-sf'; Outlook revised to Negative from Stable;
--Class B affirmed at 'Asf'; Outlook revised to Negative from Stable;
--Class C affirmed at 'BBB-sf'; Outlook Negative.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'U.S. Private Student Loan ABS Criteria', Jan. 31, 2012;
--'Global Structured Finance Rating Criteria', June 6, 2012;
--'Counterparty Criteria for Structured Finance Transactions', May 30, 2012.
Applicable Criteria and Related Research
Counterparty Criteria for Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
U.S. Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=698293
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